In this analysis of the risk and return of stocks in the United States and global markets, we apply several portfolio construction and optimization techniques to U.S. and global stock universes. We find that (1) mean-variance techniques continue to produce portfolios capable of generating excess returns above transaction costs and statistically significant asset selection, (2) optimization tech...

Otsu reference proposed a criterion for maximizing the between-class variance of pixel intensity to perform picture thresholding. However, Otsu’s method for image segmentation is very time-consuming because of the inefficient formulation of the between-class variance. In this paper, a faster version of Otsu’s method is proposed for improving the efficiency of computation for the optimal thresho...

A standard Gaussian random variable w takes values over the real line and has the probability density function ffww = 1 √ 2 exp − w 2 2 w∈ ∈ (A.1) The mean of w is zero and the variance is 1. A (general) Gaussian random variable x is of the form x = w + (A.2) The mean of x is and the variance is equal to 2. The random variable x is a one-to-one function of w and thus the probability density fun...

In this paper, an estimation of the Gaussian noise variance based on observed (measured) maximums of subsets of samples is given. Circumstances of the measurement environment being limited, only maximums of subsets of samples are available and the non-constant variance of the Gaussian noise can be estimated. In the case of power line noise, the variance of the zero mean Gaussian noise is a peri...

Recently, statistical process control (SPC) methodologies have been developed to accommodate autocorrelated data. To construct control charts for stationary process data, the process variance needs to be estimated. For an independently identically distributed sequence of a random variable, the variance is usually estimated by the sample variance. For a weakly stationary process, different estim...

‎Abstract: In this paper, a new mixture modelling using the normal mean-variance mixture of Lindley (NMVL) distribution has been considered. The proposed model is heavy-tailed and multimodal and can be used in dealing with asymmetric data in various theoretic and applied problems. We present a feasible computationally analytical EM algorithm for computing the maximum likelihood estimates. T...

The present study is an attempt toward evaluating the performance of portfolios and assets selecting using modified mean-variance models by utilizing a non-parametric efficiency analysis tool, namely Data Envelopment Analysis (DEA). Huge amounts of money are being invested in financial market. As a result, portfolio performance evaluation has created a great deal of interest among people. We kn...

In this paper we derive results concerning the connected components and the diameter of random graphs with an arbitrary i.i.d. degree sequence. We study these properties primarily, but not exclusively, when the tail of the degree distribution is regularly varying with exponent 1 − τ . There are three distinct cases: (i) τ > 3, where the degrees have finite variance, (ii) τ ∈ (2, 3), where the d...